Deribit Market Data Connector
Deribit Data Connector based on WebSocket/REST.
Configuration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| WebSocket URL | wss://www.deribit.com/ws/api/v2/ | WebSocket root URL. The following URLs are supported: Standard Deribit WebSocket endpoint: wss://www.deribit.com/ws/api/v2/ Alternative Deribit Event Nodes WebSocket endpoint: wss://streams.deribit.com/ws/api/v2/ By default URL for standard Deribit WebSocket endpoint is chosen. |
| REST URL | https://www.deribit.com/api/v2/ | REST root URL. |
| Enable Authentication | true | This option allows to enable authentication in Deribit. Default value for this option is true. |
| Client ID | N/A | Client ID for authentication in Deribit. |
| API Secret | N/A | API Secret for authentication in Deribit. |
| Exchange Name | DERIBIT | Exchange name for this session. |
| Quantity Multiplier Field | N/A | Field from the "securities" stream which is used for quantity transformation. Empty value means "no transformation". |
| Output Book Size | 20 | Size of the output book. |
| Snapshot Interval | 10S | This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds. |
Symbology
Supported symbol notations:
| Symbol Notation | Examples |
|---|---|
<CURRENCY>-<DMMMYY> | BTC-25SEP19 |
<CURRENCY>-<DMMMYY>-<STRIKE>-<K> | BTC-27SEP19-10500-P |
<CURRENCY>-PERPETUAL | BTC-PERPETUAL |
Deribit instrument’s meta-info can be found here:
Request all available currencies using: https://www.deribit.com/api/v2/public/get_currencies
Request all available symbols for each currency:
https://www.deribit.com/api/v2/public/get_instruments?currency=BTC